(Please note that the directions in these links are intended for Windows users.)
I'm guessing if you're reading this comm, then you're interested in moving off LJ to another journaling site. If you are moving to another LJ-based site (JF, GJ, IJ, etc.) then you might find the following posts useful.
Backing up your LJ: a guide for Windows users: gives instructions on how to copy over your LJ entries to your new journal.
Semagic and posting to multiple journals: gives instructions on how to make Semagic post to multiple journals at once.
If you have any links to other useful tutorials/posts, please feel free to link to them in the comments!